PETROL FİYAT ŞOKLARI MAKROEKONOMİK ETKİLERİ

Ülkelerin ekonomik faaliyetlerinde önemli bir girdi olan Petrol ve buna bağlı petrol fiyatlarındaki artış, Türkiye ve Çin gibi petrol ithalatçısı ülkelerin ekonosindeki büyümeyi zaman zaman olumsuz; Kanada ve Norveç gibi ihracatçı ülkelerin ekonomisindeki büyümeyi ise çoğu zaman olumlu yönde etkilemektedir. Bu çalışma, 1990 yılı 1.çeyrek ile 2018 yılı 4.çeyrek arasındaki dönemlerde, petrol ihracatçısı Kanada ve Norveç ile petrol ithalatçısı Çin, Türkiye ve ABD’yi örneklendirerek petrol fiyat şoklarının ekonomik büyümeye etkisini incelemeyi amaçlamaktadır. Granger nedensellik testiyle elde edilen sonuçlar, ihracatçı ülkelerdeki (Kanada ve Norveç) petrol fiyatlarındaki dalgalanmaların ekonomik büyüme ve kamu gelirlerinde değişikliğe neden olduğunu göstermektedir. İthalatçı ülkelerde ise sonuçlar farklılık göstermektedir. Türkiye'de petrol fiyatı ve enflasyon, kamu gelirinde değişikliğe neden olurken Çin'de işgücü maaşlarındaki değişikliklere bağlı olarak GSYİH'da değişikliğe neden olmakta ve ÜFE’nin değişmesine de neden olduğu görülmektedir. ABD ile ilgili sonuçlar, petrol fiyatlarındaki değişimlerin devlet gelirine yansıdığını ve ABD GSYİH'sını etkilediğini göstermektedir.

Anahtar Kelimeler:

Ekonomik Büyüme, Petrol Fiyatları, Makroekonomi, İhracatçı Ülkeler, İthalatçı Ülkeler, Şoklar, VAR Modeli, Granger Nedensellik

MACROECONOMIC EFFECTS OF OIL PRICE SHOCKS

Oil is an important input used in economic activities of any country. Hence, rise in its price is likely to adversely affect economic growth of oil importing countries like Turkey and China. and positive affect economic growth of exporting countries like Canada and Norway. The present study intends to examine the impact of oil price shocks on economic growth in sample of two exporters countries (Canada and Norway) and three importers countries (China, Turkey, and the USA) over the period Q1-1990 to Q4-2018. The results show that in the exporter' countries (Canada, and Norway), (based on Granger couslity test) the oil price flucations cause a change in economic growth and government revenue. however, the results for importers countries are different. For example, In Turkey, oil price instability and inflation cause a change in government revenue. In China changes in labor wages cause a change in GDP, and cause a change PPI accordingly. Finally, in USA, the results showed that, changes in oil prices reflected on the government revenue, and oil prices shocks can impact on USA GDP.

Keywords:

Economic Growth, Oil Prices, Macroeconomics, Exporter Countries, Importers Countries, Shocks, VAR Model, Granger Causality,

PDF

___

Alquist, Ron, and Lutz Kilian (2010), “What Do We Learn from the Price of Crude Oil Futures?” Journal of Applied Econometrics 25(4), 539-573.
Alquist, Ron, Kilian, Lutz, and Robert J. Vigfusson (2013), “Forecasting the Price of Oil,” in: Elliott, Graham, and Allan Timmermann (eds.), Handbook of Economic Forecasting, 2, Amsterdam: North-Holland, 2013, 427-507.
B. S. Bernanke, M. Gertler and M. Watson, Systematic Monetary Policy and the Effects of Oil Price Shocks, Brookings Papers on Economic Activity, No. 1, 91 (1997).
Baumeister, C. and Kilian, L. 2016a. Forty Years of Oil Price Fluctuations: Why the Price of Oil May Still Surprise Us. Journal of Economic Perspectives, 30(1): 139-160.
Baumeister, C. and Kilian, L. 2016b. Understanding the Decline in the Price of Oil since June 2014. Journal of the Association of Environmental and Resource Economists 3(1): 131-158.
Baumeister, C., and G. Peersman (2009), Sources of the Volatility Puzzle in the Crude Oil Market, mimeo, Department of Economics, Ghent University.
Baumeister, Christiane, and Gert Peersman (2013), “The Role of Time-Varying Price Elasticities in Accounting for Volatility Changes in the Crude Oil Market,” Journal of Applied Econometrics, 28(7), 1087-1109.
Baumeister, Christiane, and Lutz Kilian (2012), “Real-Time Forecasts of the Real Price of Oil,” Journal of Business and Economic Statistics, 30(2), 326-336.
Bodenstein, Martin, Guerrieri, Luca, and Lutz Kilian (2012), “Monetary Policy Responses to Oil Price Fluctuations,” IMF Economic Review, 60(4), 470-504.
Christiano, Lawrence J. Eichenbaum, Martin (1992), Current Real Business Cycle Theories and Aggregate Labor Market Fluctuations, American Economic Review, 82(3), 430-450.
Fattouh, Bassam, Kilian, Lutz, and Lavan Mahadeva (2013), “The Role of Speculation in Oil Markets: What Have We Learned So Far?” Energy Journal, 34(3), 7-33.
Hamilton, J. D. 2009a. Understanding Crude Oil Prices. The Energy Journal 30(2): 179-206.
Hamilton, J. D., 1983, “Oil and the Macroeconomy since World War II,” Journal of Political Economy, 91(2), 228–248.
Hamilton, J. D., 1996, “This is What Happened to the Oil Price-Macroeconomy Relationship,” Journal of Monetary Economics, 38(2), 215–220.
Hamilton, J. D., 2003, “What is an Oil Shock?” Journal of Econometrics, 113(2), 363–398.
Hamilton, J.D. (1988) A Neoclassical Model of Unemployment and the Business Cycle, Journal of Political Economy, 96, 593-617.
Hamilton, J.D. (1996), “This is What Happened to the Oil Price-Macroeconomy Relationship,” Journal of Monetary Economics, 38, 215-220.
Hamilton, J.D. (2003), What is an Oil Shock? Journal of Econometrics, 113, 363-398.
Hamilton, J.D. (2008), “Oil and the Macroeconomy,” in S. Durlauf and L. Blume (eds), The New Palgrave Dictionary of Economics, 2nd ed., Palgrave MacMillan Ltd.
Hamilton, J.D. (2009), Causes and Consequences of the Oil Shock of 2007-08, Brookings Papers on Economic Activity, 1, Spring 2009, 215-261.
Hamilton, J.D., and A.M. Herrera (2004), Oil Shocks and Aggregate Economic Behavior: The Role of Monetary Policy: Comment,” Journal of Money, Credit, and Banking, 36, 265-286.
Hamilton, James D. (2003), “What is an Oil Shock?” Journal of Econometrics, 113(2), 363–398.
Hamilton, James D. (2009), “Causes and Consequences of the Oil Shock of 2007-08,” Brookings Papers on Economic Activity, 1, Spring, 215-261.
Hamilton, James D., and Ana Maria Herrera. “Oil Shocks and Aggregate Macroeconomic Behavior: The Role of Monetary Policy: Comment,” Journal of Money, Credit, and Banking, 36 (2004), pp. 265-86.
Hamilton, James D., and J. Cynthia Wu (2014), “Risk Premia in Crude Oil Futures Prices,” Journal of International Money and Finance, 42, 9-37.
J. D. Hamilton, What Is an Oil Shock?, J. Econometrics 113, 263 (2003).
Kaneko, T., & Lee, B. S. 1995. Relative importance of economic factors in the U.S. and Japanese stock markets. Journal of the Japanese and International Economies 9, 290−307.
Kilian, L. (2008a), Exogenous Oil Supply Shocks: How Big Are They and How Much Do They Matter for the U.S. Economy? Review of Economics and Statistics, 90, 216-240.
Kilian, L. (2008b), The Economic Effects of Energy Price Shocks, Journal of Economic Literature, 46(4), 871-909.
Kilian, L. (2009a), Comment on ‘Causes and Consequences of the Oil Shock of 2007-08’ by James D. Hamilton, Brookings Papers on Economic Activity, 1, Spring 2009, 267-278.
Kilian, L. (2009b), Oil Price Shocks, Monetary Policy and Stagflation, forthcoming in: Fry, R., Jones, C., and C. Kent (eds), Inflation in an Era of Relative Price Shocks, Sydney, 2009.
Kilian, L. (2009c), Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market, American Economic Review, 99, 1053-1069.
Kilian, L. (2010), Explaining Fluctuations in Gasoline Prices: A Joint Model of the Global Crude Oil Market and the U.S. Retail Gasoline Market, Energy Journal, 31, 105-130.
Kilian, L., 2009, “Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market,” American Economic Review, 99(3), 1053–1069.
Kilian, L., A. Rebucci and N. Spatafora (2009), Oil Shocks and External Balances, Journal of International Economics, 77, 181-194.
Kilian, L., and B. Hicks (2009), Did Unexpectedly Strong Economic Growth Cause the Oil Price Shock of 2003-2008? mimeo, Department of Economics, University of Michigan.
Kilian, L., and C. Park (2009), The Impact of Oil Price Shocks on the U.S. Stock Market, International Economic Review, 50, 1267-1287.
Kilian, L., and D. Murphy (2009a), Why Agnostic Sign Restrictions Are Not Enough: Understanding the Dynamics of Oil Market VAR Models, mimeo, Department of Economics, University of Michigan.
Kilian, L., and D. Murphy (2009b), The Role of Inventories in Identifying Oil Demand and Oil Supply Shocks, mimeo, Department of Economics, University of Michigan.
Kilian, L., and L. Lewis (2009), Does the Fed Respond to Oil Price Shocks? mimeo, Department of Economics, University of Michigan.
Kilian, L., and R. Vigfusson (2009), Pitfalls in Estimating Asymmetric Effects of Energy Price Shocks, mimeo, Department of Economics, University of Michigan.
Kilian, Lutz (2008a), “Exogenous Oil Supply Shocks: How Big Are They and How Much Do They Matter for the U.S. Economy?” Review of Economics and Statistics, 90(2), 216- 240.
Kilian, Lutz (2008b), “The Economic Effects of Energy Price Shocks,” Journal of Economic Literature, 46(4), 871-909.
Kilian, Lutz (2009a), “Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market,” American Economic Review, 99(3), 1053-1069.
Kilian, Lutz (2014a), “The Impact of the Shale Oil Revolution on U.S. Oil and Gasoline Prices,” CEPR Working Paper No. 10304.
Kilian, Lutz, and Bruce Hicks (2013), “Did Unexpectedly Strong Economic Growth Cause the Oil Price Shock of 2003-2008?” Journal of Forecasting, 32(5), 385-394.
Kilian, Lutz, and Daniel P. Murphy (2012), “Why Agnostic Sign Restrictions Are Not Enough: Understanding the Dynamics of Oil Market VAR Models,” Journal of the European Economic Association, 10(5), 1166-1188.
Kilian, Lutz, and Daniel P. Murphy (2014), “The Role of Inventories and Speculative Trading in the Global Market for Crude Oil,” Journal of Applied Econometrics, 29(3), 454-478.
Kilian, Lutz, and Thomas K. Lee (2014), “Quantifying the Speculative Component in the Real Price of Oil: The Role of Global Oil Inventories,” Journal of International Money and Finance, 42, 71-87.
Kilian, Lutz. The Effects of Exogenous Oil Supply Shocks on Output and Inflation: Evidence from the G7 Countries, Working Paper, University of Michigan (2005).
Lee, K., and S. Ni (2002), On the Dynamic Effects of Oil Price Shocks: A Study Using Industry Level Data, Journal of Monetary Economics, 49, 823-852.
Lee, K., S. Ni, and R.A. Ratti (1995), Oil Shocks and the Macroeconomy: The Role of Price Variability, Energy Journal, 16, 39-56.
Lippi, F. and A. Nobili (2009), Oil and the Macroeconomy: A Quantitative Structural Analysis, Temi di discussione (Economic working papers) 704, Bank of Italy, Economic Research Department.
Lippi, F. and A. Nobili, 2012, “Oil and the Macroeconomy: A Quantitative Structural Analysis,” Journal of the European Economic Association, 10(5), 1059–1083.
Mork, K.A. (1989), Oil and the Macroeconomy. When Prices Go Up and Down: An Extension of Hamilton’s Results, Journal of Political Economy, 97, 740-744.
Peersman, G. and I. Van Robays, 2012, “Cross-country differences in the effects of oil shocks,” Energy Economics, Elsevier, vol. 34(5), pages 1532-1547.